Turn it down so that it's not collected anything in the cup and not sending bubbles into the display. Don't worry about trying to collect stuff until it breaks in -- if you do, you risk it flooding. It will be really finicky at first, you just sort of have to plug it in, turn it down so that it doesn't flood, and walk away for a few days! Once it breaks in and runs for a while, it will be much easier to dial in -- trust me!
Also, are you using any sort of tap water conditioner/dechlorinator? If so, that will prevent the skimmer from working. You will either need to use RODI water, or switch conditioners to SeaChem Prime, which supposedly doesn't screw with skimmers.